Cuz when you leave a comment through a journal, then there's a way to trace it back to you, or at least to an online persona of you. Anon comments, there's no way to know anything about them, except for where they live from the IP address. With the internet being as anonymous as it is, there's no real repercussions, but it's still easier to remain entirely hidden.

(I totally almost left the first comment as an anon, but I thought that might defeat the purpose, and I should stop being a pussy. /o\)